4 stars based on
On my first day I was greeted by full panes of glass boasting glorious Sydney Harbour views which were modestly obscured by a hand-scrawled 'less than 2ms' on that glass. This was the main goal for the dozen of us in IT.
That wasn't my remit at the start though. That is, equity option spreads and combinations, along with their associated hedges. He needed something that could handle a bunch of intricate auto-trading rules that could be integrated with the Orc front-end being used for ASX trading. Orc iso-alpha-handel mit optionen the binomial iso-alpha-handel mit optionen trinomial trees for the ASX-listed American options on demand.
However, Orc didn't calculate solely on demand, rather it used simple memoization for pricing. If the parameters were the same, Orc remembered, iso-alpha-handel mit optionen than recalculated the price.
The stack seemed too lame to iso-alpha-handel mit optionen latency competitive, no matter what tricks I could come up with. Thomas 'Neo' Anderson has worked his way through iso-alpha-handel mit optionen rabbit hole of technology to emerge on the other side with 20 years of experience in arcane arbitrage techniques and options market making.
In his spare time he separates red pills from blue pills and knows Kung-Fu. By changing an interest rate, or selecting another volatility curve adjustment in Orc Trader, my pricing cache got busy replenishing itself. This wasn't an entirely original solution. I first heard iso-alpha-handel mit optionen the idea of pre-caching option prices in an old article about either Hull or CRT some years prior. Just as a modern out-of-order microprocessor can speculate on the next thing that's going to be required, so can you.
Market prices are discrete after all. Iso-alpha-handel mit optionen, the fastest calculation is always the one you don't have to do. A later lesson was that it was hard, but not impossible, to beat zero latency.
This strange corollary to this speculative lesson exists because the fastest message is the one you don't have to send. This is perhaps even more significant. In my view, the best architecture is no architecture. That is a little facetious, but an important system truth. Reification just becomes legacy without a sufficient lack of architecture. As premature optimisation is the root of all good, it iso-alpha-handel mit optionen best to not talk too loudly about computing myths as it is best for your competitors to stumble.
The Orc Trader hackery I concocted wasn't a great solution, but it made a few people happy getting some trades that were previously out of reach. Indeed, there was a bit of fist pumping and mirth when they first got some types of trades they'd never seen before.
Overall, it was only mildly successful. It grew to hundreds of manual rules monitoring trading potentials and seemed to pay for itself iso-alpha-handel mit optionen someone bothered to turn it on. It was a fun build for me at least. Let's revisit that 'Less than 2ms' challenge on the window. I wrote a paperespousing a faster, but more complicated way of getting much lower latency. A three person team, myself included, was born to go and try. Korea was the first choice. No need for option pricing caches in this project, even at a secondary level, as the European index option calculations, especially the incremental or finite differenced ones, are not that much more expensive than a cache interpolation, even on limited dimensions.
This was a time in which GHz processors were new. Our performance measurement approach was a bit lame. We measured performance internally within the application rather than properly from the external network. This was fine when talking about two millisecond time frames as the network stack was in the 50 to microsecond zone in those days of yore. The key point to remember here is that when you can do more than a billion instructions a second, that translates to more than two million instructions for two milliseconds.
Frankly, it was just criminally wrong that even a millisecond, over a million instructions, was iso-alpha-handel mit optionen on simple trading tasks.
If it takes you a million sequential steps to decide on a trade, retire now! A modern processor can do thousands of instructions in a microsecond. Every nanosecond is sacred. As a relative newbie to a firm, iso-alpha-handel mit optionen have to tread carefully when you get assigned to a non-functioning team. In the development phase, there were only three of us, including me.
One team member, who was normally excellent, unfortunately rebelled by spending time focused on inter-webs, games, and forum posts about GPU cards. GPU had previously written the firm's core libraries for multi-threading, which were quite good, but strewn with nomenclature errors. Mutexes were locks and locks were mutexes. GPU didn't seem to enjoy the project and kind of went on strike, iso-alpha-handel mit optionen seemed.
Part of it was no doubt being annoyed at having to work on my newbie idea. The other guy was less capable, but not incompetent. He would usually eat a lot of food and zone out to watch DVDs. We had to get on with it. Two milliseconds to beat. As it turned out, I had more code than expected to write - hence a few late nights and iso-alpha-handel mit optionen over bumps in the night. The result was a system a bit faster than five microseconds. I thought that was a success. Iso-alpha-handel mit optionen speed did not take into account the network stack.
Clearly the network stack latency now mattered a lot more than it did a month earlier. One of the other IT guys congratulated me and from him Iso-alpha-handel mit optionen learned that the majority of the IT team, including him, thought it had been an impossible task.
Apparently, most were also hoping I'd fail. It appears change coming from the new guy was not widely iso-alpha-handel mit optionen and I only received a small bonus and no significant pay rise. I had hoped to stay in this job for twenty years, iso-alpha-handel mit optionen after that dot-com bubble thing. Plainly it was time to move on for me. I chatted to a few firms and shared some new thoughts on how to do things. One private trading firm, one of the good Dutch firms, listened intently but nothing happened.
Years later, I learned that a team started implementing some of what we had talked about in those interviews the very next week. I heard the approach was successful. They called it the 'implied base method', where everything is expressed in terms of a base future or instrument.
I liked their name for my technique, although iso-alpha-handel mit optionen all sounded a bit cargo-cultish to me. This is pretty much how a modern delta one desk thinks about life.
I was flattered to be deceived. I then spoke to a significant Australian institution that had a team of around a dozen developers focusing their holy dollar on the ASX market.
Their technology was even slower than Orc Trader, most of the time, with significant milliseconds in their stack. I arranged a meeting with the business head, who was a lot more successful and much younger than me. He was one of their high income earners whose income has to be declared under Australian listing rules.
The politics of the business looked untidy and he warned me that earning money overseas wasn't easily attributable back to your profit centre. The discussions with this firm was a waste of everyone's time - I don't do black hat.
Finding gaps between the rules is a fun game as iso-alpha-handel mit optionen as the ethics are acceptable. However, those black lines should not be crossed. There is no fun in winning by cheating but, more importantly, reputation matters. People always underestimate the NPV of a scandal, and I did not want to risk that. One investment bank that I spoke to, I liked.
It was a big Wall Street firm's outpost. I had spent years in that kind of environment previously. The pass bar seemed pretty low.
They didn't want to make money. They just wanted to generate no-cost turnover so their corporate finance department could serenade firms. That was looking the best option and I was sure they wouldn't mind getting their iso-alpha-handel mit optionen and also making a profit.
Profits rarely cause complaints. A good thing about my prior firm is they did fire people for making money. Someone broke the rules by doing some pair trades they were unauthorised to do.
I was impressed they were fired for breaking the rules. Such a correct stance is shamefully all too rare in financial services. He suggested I speak to ITG, as they did proprietary trading. That was iso-alpha-handel mit optionen to me; I had thought iso-alpha-handel mit optionen were just a iso-alpha-handel mit optionen. Then I don't really know what happened next.
I was told three quite different versions over iso-alpha-handel mit optionen next few years. According to one version, the board approved it, but Killian knocked it iso-alpha-handel mit optionen.